G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w21750
来源IDWorking Paper 21750
Forward Guidance in the Yield Curve: Short Rates versus Bond Supply
Robin Greenwood; Samuel Hanson; Dimitri Vayanos
发表日期2015-12-21
出版年2015
语种英语
摘要We present a model of the yield curve in which the central bank can provide market participants with forward guidance on both future short rates and on future Quantitative Easing (QE) operations, which affect bond supply. Forward guidance on short rates works through the expectations hypothesis, while forward guidance on QE works through expected future bond risk premia. If a QE operation is expected to be undone in the near term, then its announcement will have a hump-shaped effect on the yield and forward-rate curves; otherwise the effect may be increasing with maturity. Humps associated to QE announcements typically occur at maturities longer than those associated to short-rate announcements, even when the effects of the former are expected to last over a shorter horizon. We use our model to re-examine the empirical evidence on QE announcements in the US.
主题Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URLhttps://www.nber.org/papers/w21750
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/579482
推荐引用方式
GB/T 7714
Robin Greenwood,Samuel Hanson,Dimitri Vayanos. Forward Guidance in the Yield Curve: Short Rates versus Bond Supply. 2015.
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